Data Feed Without Quantities

ABSTRACT

The present embodiments relate to an improved data feed. In an embodiment, an electronic exchange, when generating a data feed, in particular a price data feed, purposefully chooses to include the inside market and/or last traded price but purposefully leaves out the market depth. The market depth may be omitted to provide an optimal marketplace.

CROSS REFERENCE TO RELATED APPLICATIONS

The application is a continuation of U.S. patent application Ser. No.13/012,474, filed Jan. 24, 2011, which is incorporated in its entiretyby reference herein for all purposes.

BACKGROUND

The present patent document relates to an electronic trading system.

An electronic trading system generally includes an electronic exchangethat publishes a data feed to subscribing client devices. A data feed isa series of one or more messages that include data that is related to amarket for a tradeable object. For example, a data feed may include,among other things, an inside market, market depth, last traded price,and a last traded quantity. The inside market is the lowest availableask price (best offer) and the highest available bid price (best bid) inthe market for a particular tradable object at a particular point intime. Market depth in this document refers to quantities available atthe inside market and at other prices away from the inside market. Thelast traded price (LTP) is a price at which the tradeable object waslast traded. The last traded quantity (LTQ) is a quantity that lasttraded.

Responding to the trading community's desire for more information, theamount of data included in a data feed has continually increased overtime. In general, market participants believe that a data feed shouldinclude as much data about a market as possible. In an attempt toaccommodate the desire for more data, electronic exchanges havecontinued placing more and more data into the data feed. As technologyhas advanced, these data feeds, even with the increased amount of data,have become more comprehensive, quicker, and more reliable.

BRIEF DESCRIPTION OF THE DRAWINGS

Example embodiments are described herein with reference to the followingdrawings.

FIG. 1 is a diagram illustrating an example embodiment of an electronictrading system including an electronic exchange and client devices.

FIG. 2 is a diagram illustrating an example embodiment of an electronicexchange.

FIG. 3 is a flowchart that illustrates a process of an embodiment.

FIG. 4 is a diagram illustrating an example embodiment of an order book.

FIGS. 5-9 are diagrams of various example embodiments of data feedsprovided from an electronic exchange.

FIGS. 10A and 10B illustrate a dynamically changing market and datafeed.

The following detailed description will be better understood when readin conjunction with the drawings which show certain example embodiments.The drawings are for the purpose of illustrating certain embodiments,but it is understood that the inventions are not limited to thearrangements and instrumentality shown in the drawings.

DETAILED DESCRIPTION Overview

The present embodiments relate to a data feed that departs from thegeneral belief that more data is better and instead focuses on providinga more optimal marketplace.

In an embodiment, a data feed includes the inside market, but does notinclude the market depth. Providing the inside market allows marketparticipants to trade using the best bid and best offer. A data feedwith the inside market may be optimal because it allows marketparticipants to coordinate among different markets and transferliquidity among tradeable objects. Markets are interconnected. Providingthe inside market allows market participants to coordinate among thesemarkets. However, without the market depth, the data feed attempts toprovide an optimal marketplace by leveling the playing field for marketparticipants by protecting market integrity. For example, intentionallyleaving out market depth may potentially reduce the bandwidthrequirement necessary for the data feed, reduce market manipulation, andprevent market participants from using the data feed to identify anothermarket participant's trading strategy or identity. Protecting marketintegrity may increase liquidity in the market because marketparticipants will have greater confidence in the market.

In another embodiment, a data feed includes an inside market and lasttraded price, but does not include market depth. Consequently, inaddition to the best bid and offer, market participants may trade usingthe last traded price data. The last traded price allows a marketparticipant to determine the price at which the last trade wascompleted. This information may be used to further understand where atrade order is likely to be matched.

In yet another embodiment, a data feed includes a last traded price, butdoes not include the inside market or market depth. The last tradedprice allows a market participant to approximate where the inside marketis located based on historical data. Although it does not provide thecurrent best bid or best offer, the last traded price does allow amarket participant to intentionally place trade orders that are at ornear the inside market.

Reference herein to “embodiment” means that a feature, structure, orcharacteristic described in connection with the embodiment can beincluded in at least one embodiment of the invention. The appearance ofthis phrase in various places in the specification is not necessarilyall referring to the same or single embodiment or even different andmutually exclusive embodiments. In addition, separate or alternativeembodiments are not mutually exclusive embodiments. Instead, theembodiments described herein, explicitly and implicitly understood byone skilled in the art, may be combined with other embodiments. Theembodiments and combinations thereof are all within the scope of thispatent document.

Description of an Electronic Trading System

FIG. 1 illustrates a diagram of an electronic trading system 100 thatincludes an electronic exchange host system (hereinafter, “electronicexchange”) 102 and client devices 104, 106, 108. The client devices 104,106, 108 connect to the electronic exchange 102 via a network 110. Theelectronic trading system 100 may also include a gateway 112.

The electronic trading system 100 may include additional, different, orfewer components and/or networks. For example, client devices 104, 106,108 may connect to additional electronic exchanges that are not shown.In another example, more or less client devices may connect to theelectronic exchange 102. Unless specifically stated, the followingdescription and claims should not be limited to the arrangements andinstrumentality shown in FIG. 1.

a. Electronic Exchange

The electronic exchange 102 is a computing system that facilitateselectronic trading. Electronic trading involves the buying or selling oftradeable objects. The electronic exchange 102 may be implemented withone or more computing devices, such as personal computers, routers,gateways, and servers, at the electronic exchange 102. The processingand/or data storage discussed below may be performed using a singlecomputing device or spread across multiple computing devices.

The electronic exchange 102 may be owned, operated, controlled,programmed, configured, or otherwise used by an exchange, such as theChicago Mercantile Exchange (CME) or other now known or later formedExchange. CME's GLOBEX® trading system is an example of an electronicexchange. Although existing electronic exchanges, such as CME's GLOBEX®trading system, do not currently provide a data feed in accordance withan embodiment described herein, they can be modified to do so.

FIG. 2 is a diagram that illustrates an example of the electronicexchange 102. FIG. 2 is provided for the purpose of illustrating certainembodiments. It is understood that the inventions are not limited to thearrangements and instrumentality shown in FIG. 2. For example,additional, different, or fewer instruments (e.g., electricalcomponents, databases, modules) may be provided.

FIG. 2 illustrates various databases and modules that may be stored inthe electronic exchange 102. A database is an organized collection ofdata that may be stored in memory and accessed by a processor. A moduleis a set of one or more computer-readable instructions that may bestored in memory and executed by a processor to perform a specificaction. The storage or execution of one or more of the databases andmodules may be distributed among one or more computing device at theelectronic exchange 102.

The electronic exchange 102 includes a communication module 200. Thecommunication module 200 is used for communication with one or more ofthe client devices 104, 106, 108. Communication may include transmittingand/or receiving messages. For example, the communication module 200 mayprovides one or more data feeds to subscribing client devices 104, 106,108. The communication module 200 may configure the data feed inaccordance with a proprietary binary format (e.g., unique to anexchange), the Financial Information Exchange (FIX) protocol, or othernow known or later developed format.

The communication module 200 may also receive messages that includetrade orders from one or more of the client devices 104, 106, 108. Atrade order may be an order to buy or sell a tradeable object at aparticular price, an order to change or cancel a previously submittedorder (e.g., a working order), or other instruction for an electronicexchange. A tradeable object is any object that can be traded. Financialproducts such as stocks, options, bonds, futures, currency, interestrates, warrants, funds, derivatives, securities, commodities, tradedevents, goods, index-based products, and collections and/or combinationsof these are some of the objects that can be traded. By way of example,the E-mini Standard and Poor's 500 futures contract is a tradeableobject that is bought and sold electronically through the CME's GLOBEX®trading system. Such a trade order can also be traded through theelectronic exchange 102.

A user database 202 includes account data. Account data is data relatedto market participants and other users of the electronic exchange 102.For example, user names, passwords, and other data that identifiesmarket participants uniquely or collectively may be stored in the userdatabase 202. Other data related to market participants, such as risklimits, participant's status (e.g., status as a market maker), or otherdata related to the market participants, may also be stored in the userdatabase 202. The account data module 204 processes account data before,during, and after electronic trading, such that the account data may beused for electronic trading purposes.

A match engine module 206 matches bids and offers. For example, matchengine module 206 may be executed to perform one or more matchingalgorithms for matching contra-side bids and offers. Exemplary matchingalgorithms include a “first in, first out” (“FIFO”) algorithm, apro-rata algorithm, an allocation algorithm, and a hybrid price/timepriority algorithm. The matching algorithm may match outright orders orimplied orders. A FIFO algorithm matches orders based on a price andtime priority. A first order at a price level is the first ordermatched. Orders may lose their priority and get re-queued if usersincrease the quantity, change the price, or change the account number,for example.

A trade database 208 includes data relating to trades and descriptionsof trades. For example, a trade database may store data that identifiesthe time that a trade took place and a contract price for a particularmarket participant. Generally, the trade database 208 includes datarelating to trades that are complete (e.g., already matched).

The electronic exchange 102 includes an exchange order book (“orderbook”) 210. An order book is a database that includes data relating tounmatched quantity of trade orders. For example, the order book 210 mayinclude data relating to a market for a tradeable object, such as theinside market, market depth at various price levels, the last tradedprice, and the last traded quantity. In addition to being used by thematch engine module 206 to match contra-side bids and offers, the orderbook 210 may be used when generating one or more data feeds that aresent to the client devices 104, 106, 108. A sell order is contra-side toa buy order with the same price. Similarly, a buy order is contra-sideto a sell order with the same price.

An order book module 212 manages the order book 210. Managing the orderbook 210 may include updating the order book 210. Updating the orderbook 210 may include adding, removing, or changing orders listed in theorder book 210. The order book 210 may be updated periodically (e.g.,every 3 milliseconds) or when a certain event occurs. For example, theorder book 210 may be updated each time a message that includes a tradeorder is received at the electronic exchange 102. Alternatively, oradditionally, the order book 210 may be updated when contra-side bid andoffer are matched.

A market data module 214 obtains market data from the order book 210.For example, using the order book 210, the market data module 214 maycompute or otherwise determine the inside market, market depth atvarious price levels, the last traded price, the last traded quantity,or a combination thereof. In another example, using the trade database208, the market data module 214 obtains data about specific trade ordersor market participants, such as data related to completed trades. In yetanother example, the market data module 214 may generate market datarelated to outright orders and/or implied orders. As such, the presentembodiments may be applied to either outrights or implieds. Market datamodule 214 may provide the market data to a data feed module 216included in the electronic exchange 102.

The data feed module 216 may generate one or more data feeds. A datafeed is a series of one or more messages that includes data related to amarket for a tradeable object. Different types of data feeds, such as aprice data feed, order data feed, fill data feed, or any other now knownor later developed data feed may be generated. A conventional price datafeed includes at least the inside market, market depth, last tradedprice, and last traded quantity. The data in the price data feed is notspecific to a particular market participant. As such, the price datafeed may be provided to a plurality of market participants, whether ornot these market participants are related. A price data feed may bemodified in accordance with an embodiment.

A conventional order data feed includes data relating to various ordersat an electronic exchange. For example, the order data feed may includean acknowledgement that an order was received. A fill data feed includesdata relating to completed (e.g., filled) orders. The order data feedand fill data feed may include data that is specific to a marketparticipant. As such, the order data feed and fill data feed may beprovided to individual market participants. A combination of these datafeeds may be combined together. Furthermore, these data feeds may bemodified in accordance with an embodiment.

In an embodiment, the data feed module 216 generates a data feed thatincludes the inside market, but does not include the market depth.According to this embodiment, market participants may trade using theinside market. Market direction must be judged from other sources, forexample, instead of using the market depth. For example, marketdirection may be judged from market fundamentals, data relating to amarket participant's completed orders, news, and other tradeable objectprices. The data feed provides a more fair and optimal marketplacebecause the electronic exchange provides the inside market butpurposefully leaves out the market depth. As such, the data feedattempts to strike an optimal balance of providing market data andprotecting market integrity, as will be discussed in more detail below.

In another embodiment, a data feed includes an inside market and lasttraded price, but does not include market depth. As a result, marketparticipants may trade using inside market and last traded price data.However, in an embodiment, the market depth is intentionally left out ofthe data feed. In another embodiment, the market depth is included inthe data feed but is masked, such that market participants are unable toobtain the market depth.

In yet another embodiment, a data feed includes a last traded price, butdoes not include the inside market or market depth. In this embodiment,market participants may trade using the last traded price data. The lasttraded price allows a market participant to approximate where the insidemarket is currently located.

In some embodiments, the communication module 200 may compress a datafeed prior to transmitting the data feed to the subscribing clientdevices 104, 106, 108. Compressing a data feed may include various typesof compression used to reduce the size of the data feed. Compressionremoves data from the data feed that can be reconstructed at the clientdevices. Compression techniques may send only enough data for the clientdevices to re-create the original data feed.

The communication module 200 may transmit a data feed to one or moreclient devices. Generally, a data feed is transmitted using multicastchannels or yet some other transmission method, such as unicast.Multicast communication is based on a group concept, where a group ofsubscribers, such as a group of client devices, express an interest inreceiving a particular data stream (defined by a multicast groupaddress) from a source. For example, a price data feed may betransmitted using multicast communication. Unicast communicationinvolves sending data over a network from a single sender to a singlereceiver. The order data feed and/or fill data feed may be sent usingunicast communication, for example.

The risk management module 218 computes or otherwise determines a user'srisk utilization in relation to the user-defined risk thresholds. Anorder processing module 220 decomposes variable defined derivativeproducts and aggregates order types for processing by the match enginemodule 206 and the order book module 212.

As shown in FIG. 2, the electronic exchange 102 includes a processor 222and a memory 224. The processor 222 provides overall control for theelectronic exchange 102. The processor 222 may be a general processor,digital signal processor, application specific integrated circuit, fieldprogrammable gate array, analog circuit, digital circuit, programmedprocessor, combinations thereof, or other now known or later developedprocessing device. Although shown as a single device, the processor 222may be a combination of computing devices, such as a series of serversthat are in communication with each other. The processor 222 isresponsive to computer readable instructions stored in the memory 224.

The memory 224 is computer-readable storage media. Computer-readablestorage media includes various types of volatile and non-volatilestorage media. Examples of computer-readable storage media include butare not limited to a random access memory, a read-only memory, and ahard disk drive. The memory 224 may be configured to store data that maybe accessed by the processor 222. For example, the memory 224 isconfigured to store the databases and modules 202-220 illustrated inFIG. 2. The processor 222 is configured to access the data stored in thedatabases and execute (e.g., perform) the modules.

b. Client Devices

Returning to FIG. 1, client devices 104, 106, 108 are computing devices(e.g., including a processor and memory) that facilitate electronictrading. Examples of client devices include personal computers,gateways, and servers. As shown in FIG. 1, the client device 104 is adesktop computer, client device 106 is a server-side device that isconfigured for automated trading and is collocated with the electronicexchange 102, and client device 108 is a mobile computer that isconnected to the electronic exchange 102 via at least one wirelessconnection (e.g., illustrated as a lightning bolt in FIG. 1).

A client device may be owned, operated, controlled, programmed,configured, or otherwise used by a market participant. A marketparticipant is a trader (e.g., a human) or a group of (e.g., more thanone) traders. A group of traders may use the same account number or haveanother association with each other. For example, a group of traders mayhave the same multicast group address. Client devices 104, 106, 108 ofFIG. 1 may be owned, operated, controlled, programmed, configured, orotherwise used by the same market participant or different marketparticipants.

A client device communicates with the electronic exchange 102 via thenetwork 110. For example, a trading application running on a clientdevice may receive one or more data feeds from an electronic exchange102. The trading application may process the one or more data feeds anddisplay data from the one or more data feeds on a display device. If thedata feed does not include certain data, the trading application isunable to display that data. For example, unless the data feed includesthe market depth or other data that can be used to determine the marketdepth, the trading application is unable to display market depth on thedisplay device.

c. Network

Network 110 is a network configured for communication. As such, thenetwork 110 may include one or more communication networks that connectthe various components shown in FIG. 1. The network 110 may include avariety of direct or indirect connections. For example, the network 110may include a direct connection, such as a Ti connection, or indirectconnections via one or more intermediary components, such as high-speedservers, routers, gateways, and so on. The network 110 may be apacket-based network, such as the Internet. However, any type of networkconfiguration can be used in accordance with an embodiment.

d. Gateway

The gateway 112 communicates with one or more of the client devices 104,106, 108 and the electronic exchange 102 and may facilitatecommunication between these devices and systems. For example, thegateway 112 may receive a message that includes a trade order from aclient device and transmit the message to the electronic exchange 102.As another example, the gateway 112 may receive a data feed from theelectronic exchange 102 and transmit the data feed to one or more of theclient devices 104, 106, 108,

The gateway 112 is a computing device that is equipped for interfacingnetworks that use different protocols. For example, the gateway 112 mayprocess a message that includes a trade order received from a clientdevice. The gateway 112 may convert the message into a format acceptedby the exchange 102. Similarly, the gateway 112 may transform a datafeed that is in an exchange-specific format into a format understood bya client device. The gateway 112 may also perform other actions. Forexample, the gateway 120 may coalesce market data from one or moreexchange systems and provide it to the client devices 104, 106, 108.

Data Feed That Focuses on Providing a More Optimal Marketplace

The present embodiments relate to a data feed that departs from thegeneral belief that more data is better and instead seeks to provide amore optimal marketplace by intentionally leaving out market depth. Adata feed in accordance with an embodiment may provide a more optimalmarketplace relative to a marketplace that uses a conventional data feedthat includes market depth. For example, relative to a conventional datafeed with market depth, a data feed in accordance with an embodiment mayreduce the bandwidth required to deliver the data feed, increase marketintegrity, unify market participants, ensure coordination of markets isavailable to market participants, or any combination thereof.

Responding to the trading community's desire for more information, theamount of data included in a data feed has continually increased overtime. Market participants generally believe that a data feed shouldinclude as much data about a market as possible. In an attempt toaccommodate the desire for more data, electronic exchanges havecontinued placing more and more data into the data feed. The increasedloads of the data feeds have effectively increased the bandwidthrequirements necessary to distribute the data feeds to the variousclient devices. In some instances, this has led to insufficientaffordable bandwidth and a less-than-optimal marketplace. A data feedwithout market depth may have a lower bandwidth requirement than aconventional data feed that includes market depth. Accordingly, amarketplace using a data feed in accordance with an embodiment is moreoptimal than a marketplace using a conventional data feed because thebandwidth requirement is lower.

A data feed in accordance with an embodiment may increase marketintegrity. In some instances, market participants use market depth tomanipulate a market. Manipulating a market may include “flashing.”Flashing relates to submitting trade orders (sometimes very large tradeorders) away from the inside market without any intention of the ordersbeing filled, which can create a buying or selling market pressure. Inresponse, other market participants will often trade based on thisperceived market pressure. However, the market participant(s) that is“flashing” the market will remove the trade orders before they arefilled and submit other trade orders to achieve a more desirable price.As a result, market depth may, in some instances, assist marketparticipants with manipulating the markets. Accordingly, a marketplacethat uses a data feed without market depth may be more optimal than amarketplace that uses a conventional data feed that has market depth.Without market depth, it may be more difficult for a market participantto attempt to move the market move and as a result more difficult tomanipulate the market.

Not only are data feeds with market depth sometimes being used tomanipulate markets, they may also be used to determine other marketparticipants' trading strategies. Providing market depth or other datathat may be used to determine market depth in a data feed allows marketparticipants to view the trading actions of other market participants,whether they are trading large or small volumes, by tracking marketdepth. This is not fair for the market participants as a whole. Tradingstrategies are typically proprietary and should not be revealed to othermarket participants. Revealing a trading strategy does not change marketfundamentals but rather can lead to market manipulation. Accordingly, amarketplace that uses a data feed without market depth may be moreoptimal than a marketplace that uses a conventional data feed that hasmarket depth because it can be more difficult for a market participantto identify a trading strategy or identity without the market depth.Reducing the possibility of market manipulation may increase liquiditybecause market participants will have greater confidence in the marketand may be encouraged to submit more trade orders. Alternatively, oradditionally, a greater number of market participants may be attractedto participate in the market.

A data feed in accordance with an embodiment may unify marketparticipants. Conventional marketplaces, which use conventional datafeeds, do not provide a marketplace that unifies market participants.Instead, the conventional data feeds have caused some marketparticipants to begin using other markets when buying or sellingtradeable object. For example, in the equities industry, marketparticipants sometimes use dark pools of liquidity when buying orselling tradeable objects. Details about the market are concealed ordark. Dark pools are often formed from brokers' order books and otheroff-market liquidity. No details about the market are provided to othermarket participants until after an order has been filled. The marketdepth of a dark pool cannot be seen by any potential market participantand can be imputed only after a market participant's trade has beencompleted. For example, if a trade order is filled at a particularprice, the market participant may determine that there was market depthat that particular price. Even then, the data about the completed orderis generally delayed so as to prevent real-time or near real-timeimputed calculations about the market.

Dark pools of liquidity allow market participants to move (e.g., buy orsell) tradeable object without showing their actions to other marketparticipants. Accordingly, market participants wishing to conceal theirtrading strategy use dark pools as an alternative to other markets andas a result have divided market participants. Market participants are nolonger unified in the same market. Accordingly, a marketplace that usesa data feed with the inside market and/or the last traded price butwithout market depth may be more optimal than a marketplace that doesnot provide any information about the market because it offersadvantages that attract market participants.

A data feed in accordance with an embodiment may ensure that marketparticipants are able to coordinate among multiple (e.g., two or more)markets. Coordinating among multiple markets may include leaning on atradeable object in the same or a different market. Leaning on othertradeable objects is commonly referred to as hedging. Hedging requiresknowing the price that each of the tradeable objects is being quoted,such that a spread price between different tradeable objects (e.g., nota bid-ask spread) may be obtained. Markets that do not provide theinside market, such as dark pools, do not allow a market participant tolean on other tradeable objects because the inside market is unknown.For example, because markets are interconnected (e.g., have an impact oneach other), different tradeable objects, such as products andcontracts, derive liquidity from each other. Providing an inside marketis more precise than a dark pool and in this way allows the transfer ofliquidity to take place more effectively. Accordingly, a marketplacethat uses a data feed with the inside market and/or the last tradedprice but does not include the market depth may be more optimal than amarketplace that does not provide any information about the insidemarket because it allows market participants to coordinate amongmarkets.

FIG. 3 illustrates a diagram of a method 300 for providing a data feedin accordance with an embodiment. The method 300 may be implemented byany of an apparatus (e.g., the electronic exchange 102 of FIG. 1), asystem, a computer program, a computer readable medium, or a combinationthereof. The method 300 may provide a data feed that provides a morefair and optimal marketplace.

With respect to method 300, changes and modifications, such asadditional, different, or fewer acts, may be made to the process shownin FIG. 3 without departing from the spirit and scope of certaininventive aspects described herein. For example, the method 300 mayinclude only acts 330-350 or a different combination of acts.Furthermore, the acts shown in FIG. 3 may be performed in the ordershown or a different order.

In act 310, a computing device at an electronic exchange, receives oneor more messages that include trade orders. These messages are receivedfrom one or more remote electronic devices. A remote electronic devicemay be a client device that subscribes to receive one or more data feedsfrom an electronic exchange. The one or more messages may be received atvarious times. For example, the computing device may receive 500messages/millisecond from a plurality of remote electronic devices. Eachof the received messages may include a single trade order or a pluralityof trade orders. In the case of a plurality of trade orders, the tradeorders may be non-related trade orders (e.g., part of different tradingstrategies) or related trade orders (e.g., part of the same tradingstrategy).

In act 320, the computing device at the electronic exchange processesthe one or more received messages. Processing may include preparing thetrade orders in the messages for matching. Processing may also includeattempting to match orders with contra-side orders in the exchange orderbook or with other received trade orders prior to the trade orders beingplaced in an exchange order book, as will be discussed below.

In act 330, the computing device at the electronic exchange manages anorder book. Managing an order book includes attempting to matchcontra-side orders in the order book, updating the order book, or thecombination thereof. Matching may include using a matching algorithm,such as a “first in, first out” (“FIFO”) algorithm, an allocationalgorithm, and a hybrid price/time priority algorithm, to matchcontra-side orders in the order book. Updating may include adding,removing, or changing data in the order book. For example, updating mayinclude adding unmatched orders from act 320 to the order book orremoving matched orders.

In act 340, the computing device at the electronic exchange generates adata feed in accordance with an embodiment. In an embodiment, theelectronic exchange generates a data feed that includes the insidemarket, but does not include the market depth. As used herein, the termmarket depth may include the actual market depth or other data that isintended to be used to determine the actual market depth. Consequently,market participants may trade using the inside market data. The datafeed provides a more optimal marketplace because the electronic exchangepublishes the inside market to subscribing client devices, butpurposefully leaves out the market depth.

Of course it is possible, and even likely, for market participants touse other sources to trade on and not just the inside market, forexample, in this embodiment. Also, it may still be possible toreconstruct a market depth using other sources, for example, athird-party that aggregates data and provides a third party data feed.However, the exchange published feed, which should remain neutral to allmarket participants, seeks to provide a more optimal marketplace byeliminating market depth from the data feed.

FIG. 4 illustrates a snapshot in time of an exemplary order book 210 fora tradeable object. In the exemplary illustration of FIG. 4, the orderbook 210 includes various price levels 410 for which there are existingorders. The quantity 420 of orders at the various price levels,including the inside market and perhaps at other price levels, iscommonly referred to as market depth. For example, at this particularpoint in time, there are “10” unmatched offers to sell at a price of“104.” Accordingly, the market depth for the price of “104” is “10.” Theinside market 430 is the best bid price 440 and the best offer price450.

In an embodiment, generating includes generating a data feed thatincludes an inside market but does not include market depth, the lasttraded price, the last traded quantity, or a combination thereof. Forexample, using the example shown in FIG. 4, an electronic exchange maygenerate a data feed that includes the inside market 430, which includesboth the best bid price 440 and the best offer price 450, but does notinclude the market depth 420 for any of the price levels or the lasttraded price 460.

FIG. 5 is an example embodiment of a data feed 500. The data feed 500includes header data 510, exchange data 520, and inside market data 530.Header data 510 may include data that is used for routing the data feed500 to one or more remote electronic devices, such as a destinationaddress (e.g., a multicast group address or unicast address). Exchangedata 520 may include data related to the originating exchange, such asdata relating to a matching algorithm being used to match contra-sidetrade orders. The inside market data 530 includes the inside market. Inthis example, the inside market is “98/100.” Other information may beincluded in the data feed 500, as long as the data provides a more fairand optimal marketplace.

In yet another embodiment, generating includes generating a data feedthat includes data that can be used to determine the inside market butdoes not include the market depth, last traded price, and last tradedquantity. Data that can be used to determine the inside market mayinclude a derivation of the inside market. A derivation of the insidemarket is data that can be used to determine the inside market but isnot the actual inside market. For example, a derivation of the insidemarket may be the best bid price (or the best offer price) and a spreadbetween these prices. Using the illustration of FIG. 4, a data feed mayinclude the best bid price 440 and a spread of “+2.” This informationmay be used to determine the inside market, for example, by adding avalue of “2” to the best bid price 440 of “98” to obtain the best offerprice 450 of “100.” Similarly, in some embodiments, the best ask price450 and a spread of “−2” may also be used. Other data may also be usedto determine the actual location of the inside market and may beincluded in the data feed.

FIG. 6 is an example embodiment of a data feed 600. The header data 610and exchange data 620 may be similar to or the same as the header data510 and exchange data 520 of FIG. 5. The inside market data 630 includesthe best bid price “98” and the spread “+2” between the best bid priceand the best offer price relative to the best bid price. This data maybe used to determine that the inside market is “98/100.” Alternatively,in an embodiment not shown, the inside market data 630 may include thebest offer price “100” and the spread “−2” between the best bid priceand the best offer price relative to the best offer price.

The exemplary data feed shown in FIG. 6 may not be as advantageous asthe exemplary data feed shown in FIG. 5 because the data feed of FIG. 6may require additional processing, for example, at the electronicexchange and/or at the remote electronic device. At the electronicexchange, generating the data feed may require calculating the spreadbetween the best bid price and best offer price. Similarly, whenprocessing the data feed, the client device may be required to calculatethe inside market by adding or subtracting the spread from the best bidor offer price, depending on which was provided in the data feed.However, in both the examples of FIG. 5 and FIG. 6, the actual insidemarket may be determined using the inside market data 530, 630.

In yet another embodiment, the computing device at the electronicexchange generates a data feed that includes a last traded price butdoes not include the inside market and market depth. The last tradedprice may be used to approximate the location of the inside market. Forexample, in the illustration of FIG. 4, the last traded price 460 of“99” may be used to accurately approximate the actual inside market 430because the last traded price 460 is generally at or near the insidemarket 430. In this illustration, the last traded price 460 is actuallybetween the best bid price 440 and the best offer price 450. Thisprovides an accurate way of approximating the location of the insidemarket 430. Other data may also be used to approximate the actuallocation of the inside market and may be included in the data feed, forexample, instead of or along with the last traded price.

FIG. 7 is another example embodiment of a data feed 700 that includesheader data 710, exchange data 720, and inside market data 730. Theheader data 710 and exchange data 720 may be similar to or the same asthe header data 510 and exchange data 520 of FIG. 5. The inside marketdata 730 includes the last traded price, which in this example is “99.”The last traded, when used by the remote electronic devices receivingthe data feed 700, may provide an approximation of the inside market, asopposed to the actual inside market. Although this may not be asaccurate as providing the inside market data shown in FIGS. 5 and 6, itstill allows a market participant to make an approximation of where themarket is currently trading.

Although the last traded price may be beneficial, the inside market maybe more beneficial than the last traded price because it is a current ornear real-time value and not a historical value. The last traded priceshows what the inside market was, which is a good indication, however,the inside market may have moved since that point. Accordingly, theinside market is generally more accurate than the last traded price.

In yet another embodiment, the computing device at the electronicexchange generates a data feed that includes an inside market and lasttraded price, but does not include market depth. For example, using theillustration of FIG. 4, the data feed may include the inside market 430of “98/100” and the last traded price 460 of “99.”

FIG. 8 illustrates an embodiment of a data feed 800. Header data 810 andexchange data 820 may be similar or the same as header data 510 andexchange data 520 of FIG. 5. The inside market data 830 may include theinside market, which in this example is “98/100,” and the last tradedprice, which is “99.” The data feed 800 does not include data that maybe used to determine a market depth for the inside market.

In yet another embodiment, the computing device at the electronicexchange generates a data feed that includes the last traded price and aspread that associates the inside market and the last traded price. Thespread may be used to determine the difference between the last tradedprice and the inside market or further determine the actual orapproximate location of the inside market. For example, using theillustration of FIG. 4, the data feed may include the last traded price460 of “99” and a spread between both sides of the inside market and thelast traded price. For example, the spread may be “+/−1,” whichindicates that the inside market is “98/100.” The spread may actuallyinclude two different numbers. For example, the spread may be “+2, −3”indicating that the best offer price is “+2” from the last traded priceand the best bid price is “−3” from the last traded price.

FIG. 9 illustrates an embodiment of a data feed 900. The header data 910and exchange data 920 may be similar or the same as the header data 510and exchange data 520 of FIG. 5. The inside market data 930 may includethe last traded price of “99” and a spread between the last traded priceand the inside market. In this example, the spread is “+/−1.”

Turning back to FIG. 3, once the computing device at the electronicexchange generates the data feed, the method 300 may proceed to act 350.In act 350, the computing device at the electronic exchange provides thedata feed to the subscribing remote electronic devices. Providing thedata feed may include preparing a data feed for transmission and/ortransmitting the data feed. Preparing the data feed may includecompressing the data feed. Compressing may include reducing the size ofthe data feed. Transmitting the data feed may include sending,disseminating, publishing, or otherwise making available all or some ofthe data in the data feed.

As a result of not including the market depth, market participants willnot be able to see the market depth unless they attempt to recreate itthrough other means. Because the data feed includes data that may beused to determine or estimate the price location of the inside marketand omits market depth, the data feed may provide a more optimalmarketplace.

In an embodiment, a data feed may include market depth; however, themarket depth may be unavailable to the market participants. For example,the market depth may be masked or locked (e.g., password protected) orencrypted without the market participants having a way to unlock ordecrypt the data. Although this may not reduce bandwidth requirements,this embodiment does still provide a more optimal marketplace because itdoes not allow market manipulation or detection of a trading strategybased on data in the data feed.

FIGS. 10A and 10B illustrate a dynamically changing market. FIG. 10Aillustrates a snapshot in time of an exemplary order book 1000 in anelectronic exchange 1002. FIG. 10B illustrates a snapshot of the orderbook 1000 at a different point in time than that shown in FIG. 10A. Themarket in FIG. 10A is different than the market shown in FIG. 10B.

In FIGS. 10A and 10B, the client devices 104, 106, 108 may submit tradeorders to the electronic exchange 1002. The electronic exchange 1002 mayreceive the trade orders and place them in the order book 1000. Tradeorders may be received at the electronic exchange 1002 at any time.

In FIG. 10A, the electronic exchange 1002 may generate a data feed 1004.The data feed 1004 is a price data feed. The data feed 1004 may includeinside market data, for example, as illustrated in FIGS. 5-9 anddescribed above. However, as shown in FIG. 10A, the inside market datamay include the actual inside market “98/100” because the best bid iscurrently “98” and the best offer price is currently “100.” Oncegenerated, the electronic exchange 1002 may transmit the data feed 1004to a price server 1006. The price server 1006 may be included in oroperate in conjunction with the electronic exchange 1002.

In FIG. 10B, the price server 1006 receives and processes the data feed1004 and distributes the data feed 1004 to subscribing client devices104, 106, 108. According to one example embodiment, processing the datafeed 1004 may include sending the data feed 1004 via multicast to adesignated multicast group address. In such an embodiment, all clientdevices, here client devices 104, 106, 108, subscribing to that specificmulticast address on the LAN will receive the data feed 1004. A port maybe assigned at the client devices 104, 106, 108 to listen to multicastprice data. With respect to unicast communication, separate ports couldbe assigned for receipt of fill data and order data, for example, in afill data feed, at the client devices. In such an embodiment, a fillserver and the order server may send fill and order data to thepredetermined ports at the client terminals.

At this point in time, the market has changed. The inside market is not“98/103.” The electronic exchange 1002 may generate another data feed1008 that includes inside market data, for example, as illustrated inFIGS. 5-9 and described above. However, as shown in FIG. 10B, the datafeed 1008 may include the new inside market. That is, the inside marketof “98/103” may be included in the data feed 1008. The price server 1006may again receive and distribute the data feed 1008 to the subscribingclient devices 104, 106, 108.

In an embodiment, the electronic exchange has access to the insidemarket, market depth, last traded price, and last traded quantity. Theelectronic exchange, when generating a data feed, such as an exchangeprovided data feed, purposefully chooses to include the inside marketand/or last traded price. However, the electronic exchange purposefullyleaves out the market depth, even though this information may be knownby the electronic exchange.

In another embodiment, a method comprises receiving, using a computingdevice at an electronic exchange, order messages from a plurality ofremote electronic devices. Each order message includes a trade order tobuy or sell a quantity of a tradeable object for a particular price. Themethod also includes processing, using the computing device, the ordermessages and determining a best bid price, quantity of bids at the bestbid price, a best ask price, and quantity of asks at the best ask price.Processing includes attempting to match trade orders and enteringunmatched trade orders in an electronic order book. Providing using thecomputing device, a price message that includes the best bid price andthe best ask price to the client devices being used by the marketparticipants. Processing may include sending, disseminating, orpublishing. The price message does not include the quantity of bids atthe best bid price and the quantity of asks at the best ask price toprevent, for example, the price message from being used to determine howthe prices will move.

In yet another embodiment, a method for balancing transparency of anelectronic market for a tradeable object and privacy of marketparticipants that are participating in the electronic market isprovided. The method includes managing, using a computing device at anelectronic exchange, an electronic order book with trade orders receivedfrom client devices. The order book includes information related to abest bid price, a best offer price, and market depth. The method alsoincludes constructing, using the computing device, a price feed thatincludes a best bid price and a best ask price but does not includequantity at either the best bid price or best ask price. The best bidprice and best ask price are included to ensure that the marketparticipants are aware of an inside market and the quantity at the bestbid and ask price is omitted to ensure, for example, that the privacy ofthe market participants is protected. The computing device may send theprice feed to the client devices.

In yet another embodiment, a method for providing a more fair andoptimal marketplace includes processing, using a computing device at anelectronic exchange, an electronic order book that includes trade ordersreceived from client devices. The electronic order book includesinformation related to a best bid price, a best offer price, and marketdepth for a tradeable object market. The method also includesconfiguring, using the computing device, a data feed such that the datafeed includes the best bid price and the best offer price but does notinclude market depth. Configuring the data feed may include generating,determining, and constructing the data feed. The market depth is omittedto prevent the market depth from being used to determine how prices willmove. The computing device may send the data feed to the client devices.

While the inventions have been described with reference to certainembodiments, it will be understood by those skilled in the art thatvarious changes may be made and equivalents may be substituted withoutdeparting from the scope of the invention. In addition, manymodifications may be made to adapt a particular situation or material tothe teachings of the invention without departing from the spirit orscope of the present inventions. Therefore, it is intended that theinventions not be limited to the particular embodiments disclosedherein.

1. (canceled)
 2. A system including: a match engine at an electronicexchange, wherein the match engine is configured to receive an ordermessage from a remote electronic device specifying a trade order for aquantity of a tradeable object at a price, and wherein the match engineis configured to process the received order to identify a match for thereceived order; and a gateway in communication with the electronicexchange, wherein the gateway is configured to receive a market datafeed generated by the match engine according to a first data format,wherein the market data feed includes a plurality of matches at aplurality of prices for a plurality of tradeable objects, wherein thegateway is configured to extract a lowest available offer price and ahighest available bid for each of the plurality of tradeable objects inthe received market data feed, wherein the gateway is configured togenerate a data feed according to a second data format based on each ofthe extracted lowest available offer price and the highest available bidas a price spread for each of the plurality of tradeable objects,wherein the second data format of the generated data feed includes aplurality of market data feeds each having the generated price spreadfor one of a plurality of tradeable objects, and wherein the gateway isconfigured to multicast the generated data feed to a plurality of remoteelectronic devices in communication with the gateway.
 3. The system ofclaim 2, wherein the highest available bid is a best bid price for thetradeable object and the lowest available offer price and is a bestoffer price for the tradeable object and comprises an inside market forthe tradeable object.
 4. The system of claim 3, wherein the market datafeed further comprises a last traded price for each of the plurality oftradeable objects.
 5. The system of claim 3, wherein the remoteelectronic devices that receive the data feed do not receive the insidemarket from the electronic exchange.
 6. The system of claim 5, whereinthe remote electronic devices that receive the data feed estimate themarket depth based on data that is not in the data feed.